Files
gocryptotrader/exchanges/orderbook/node.go
Ryan O'Hara-Reid 7b718700f7 orderbook: Implement initial linked list (#643)
* Exchanges: Initial implementation after rebase of depth (WIP)

* orderbook/buffer: convert and couple orderbook interaction functionality from buffer to orderbook linked list - Use single point reference for orderbook depth

* buffer/orderbook: conversion continued (WIP)

* exchange: buffer/linkedlist handover (WIP)

* Added some tests for yesterday

* linkedList: added more testing and trying to figure out broken things

* Started tying everything in

* continuous integration and testing

* orderbook: expanded tests

* go mod tidy

* Add in different synchornisation levels for protocols
Add in timer for the streaming system to reduce updates to datahandler
Add in more test code as I integrate more exchanges

* Depth: Add tests, add length check to call linked list updating, add in constructor.
Linked List: Improve tests, add in checks for zero liquidity on books.
Node: Added in cleaner POC, add in contructor.
Buffer: Fixed tests, checked benchmarks.

* orderbook: reinstate dispatch calls

* Addr glorious & madcozbad nits

* fix functionality and add tests

* Address linterinos

* remove label

* expanded comment

* fix races and and bitmex test

* reinstate go routine for alerting changes

* rm line :D

* fix more tests

* Addr glorious nits

* rm glorious field

* depth: defer unlock to stop deadlock

* orderbook: remove unused vars

* buffer: fix test to what it should be

* nits: madcosbad addr

* nits: glorious nits

* linkedlist: remove unused params

* orderbook: shift time call to outside of push to inline, add in case for update inster price for zero liquidity, nits

* orderbook: nits addressed

* engine: change stream -> websocket convention and remove unused function

* nits: glorious nits

* Websocket Buffer: Add verbosity switch

* linked list: Add comment

* linked list: fix spelling

* nits: glorious nits

* orderbook: Adds in test and explicit time type with constructor, fix nits

* linter

* spelling: removed the dere fence

* depth: Update alerting mechanism to a more battle tested state

* depth: spelling

* nits: glorious nits

* linked list: match cases

* buffer: fix linter issue

* golangci: increase timeout by 30 seconds

* nodes: update atomic checks

* spelling: fix

* node: add in commentary

* exchanges/syncer: add function to switch over to REST when websocket functionality is not available for a specific asset type

* linter: exchange linter issues

* syncer: Add in warning

* nits: glorious nits

* AssetWebsocketSupport: unexport map

* Nits: Adrr

* rm letter

* exchanges: Orderbook verification change for naming, deprecate checksum bypass as it has the potential to obfuscate errors that are at the tail end of the book, add in verification for websocket stream updates

* general: fix spelling remove breakpoint

* nits: fix more glorious nits until more are found

* orderbook: fix tests

* orderbook: fix wait tests and add in more checks

* nits: addr

* orderbook: remove dispatch reference

* linkedlist: consolidate bid/ask functions

* linked lisdt: remove words

* fix spelling
2021-04-23 15:16:01 +10:00

136 lines
3.6 KiB
Go

package orderbook
import (
"sync/atomic"
"time"
)
const (
neutral uint32 = iota
active
)
var (
defaultInterval = time.Minute
defaultAllowance = time.Second * 30
)
// node defines a linked list node for an orderbook item
type node struct {
value Item
next *node
prev *node
// Denotes time pushed to stack, this will influence cleanup routine when
// there is a pause or minimal actions during period
shelved time.Time
}
// stack defines a FILO list of reusable nodes
type stack struct {
nodes []*node
sema uint32
count int32
}
// newStack returns a ptr to a new stack instance, also starts the cleaning
// service
func newStack() *stack {
s := &stack{}
go s.cleaner()
return s
}
// now defines a time which is now to ensure no other values get passed in
type now time.Time
// getNow returns the time at which it is called
func getNow() now {
return now(time.Now())
}
// Push pushes a node pointer into the stack to be reused the time is passed in
// to allow for inlining which sets the time at which the node is theoretically
// pushed to a stack.
func (s *stack) Push(n *node, tn now) {
if !atomic.CompareAndSwapUint32(&s.sema, neutral, active) {
// Stack is in use, for now we can dereference pointer
n = nil
return
}
// Adds a time when its placed back on to stack.
n.shelved = time.Time(tn)
n.next = nil
n.prev = nil
n.value = Item{}
// Allows for resize when overflow TODO: rethink this
s.nodes = append(s.nodes[:s.count], n)
s.count++
atomic.StoreUint32(&s.sema, neutral)
}
// Pop returns the last pointer off the stack and reduces the count and if empty
// will produce a lovely fresh node
func (s *stack) Pop() *node {
if !atomic.CompareAndSwapUint32(&s.sema, neutral, active) {
// Stack is in use, for now we can allocate a new node pointer
return &node{}
}
if s.count == 0 {
// Create an empty node when no nodes are in slice or when cleaning
// service is running
atomic.StoreUint32(&s.sema, neutral)
return &node{}
}
s.count--
n := s.nodes[s.count]
atomic.StoreUint32(&s.sema, neutral)
return n
}
// cleaner (POC) runs to the defaultTimer to clean excess nodes (nodes not being
// utilised) TODO: Couple time parameters to check for a reduction in activity.
// Add in counter per second function (?) so if there is a lot of activity don't
// inhibit stack performance.
func (s *stack) cleaner() {
tt := time.NewTimer(defaultInterval)
sleeperino:
for range tt.C {
if !atomic.CompareAndSwapUint32(&s.sema, neutral, active) {
// Stack is in use, reset timer to zero to recheck for neutral state.
tt.Reset(0)
continue
}
// As the old nodes are going to be left justified on this slice we
// should just be able to shift the nodes that are still within time
// allowance all the way to the left. Not going to resize capacity
// because if it can get this big, it might as well stay this big.
// TODO: Test and rethink if sizing is an issue
for x := int32(0); x < s.count; x++ {
if time.Since(s.nodes[x].shelved) > defaultAllowance {
// Old node found continue
continue
}
// First good node found, everything to the left of this on the
// slice can be reassigned
var counter int32
for y := int32(0); y+x < s.count; y++ { // Go through good nodes
// Reassign
s.nodes[y] = s.nodes[y+x]
// Add to the changed counter to remove from main
// counter
counter++
}
s.count -= counter
atomic.StoreUint32(&s.sema, neutral)
tt.Reset(defaultInterval)
continue sleeperino
}
// Nodes are old, flush entirety.
s.count = 0
atomic.StoreUint32(&s.sema, neutral)
tt.Reset(defaultInterval)
}
}